Weekly maintenance every saturday 03:00 - 06:00 UTC

Welcome to Asset master website, a fast, reliable and affordable portfolio optimization tool!

The following features supported at the moment:

Expected returns calculation:

- Mean historical return.
- Exponentially weighted mean historical return.
- CAPM estimate of returns.

Covariance matrix calculation:

- Fix non-positive semidefinite matrices.
- Sample covariance.
- Semicovariance.
- Exponentially weighted covariance.
- Shrunk covariance matrices:

- manual shrinkage
- Ledoit Wolf shrinkage
- Oracle Approximating shrinkage

- Black-Litterman allocation.

The optimization methods:

- Mean-Variance optimization.

- minimum of volatility
- maximum of Sharpe ratio
- maximum of the quadratic utility, given some risk aversion
- maximum of return for a given target risk
- minimum of risk for a given target return

- Semivariance optimization.

- minimum of semivariance
- maximum of the quadratic utility, given some risk aversion
- maximum of return for a given target risk

- CVaR and CDaR optimization.

- minimum of CVaR or CDaR
- maximum of return for a given CVaR or CDaR
- minimum of CVaR or CDaR for a given target return

- All of these methods support L2 regularization also.

Quickstart:

1.
Register and click this link to download the data example for portfolio optimization.
2.
Unzip the downloaded zip archive. There will be folder with "readme" files in some different formats, which contains the data description and the "to_upload" folder which contains the files with example data for portfolio optimization.
3.
Go to the Optimize portfolio page (the link is on the top one on the left sidebar), wait for the page to load, then click button "Choose File" under "Choose stock data folder" caption, choose the "to_upload" folder you are unzipped earlier, then click the "Optimize" button at the bottom of the page. You will see the log messages at the bottom of the page, as your data processing will proceed. After the optimization successfully completes, click the link "Optimization result..." under the "Optimize" button.

If you have a questions or bug reports, feel free to contact me either with contact email or redirecting by the link "Ask a question", which is the second one from the top on the left sidebar (but you should register on github for this).